Similar Search Results

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Persistent link: https://www.econbiz.de/10015229382

What Explains the Volatility in Pakistan’s Sovereign Bond Yields?

Tunio, Mohsin Waheed - 2023

This paper, using a combination of volatility models i.e. GARCH, TGARCH, and EGARCH, tries to explain the domestic and external factors, responsible for volatility in Pakistan’s sovereign bond yield-to-maturity of various bond tenors. The paper finds out that within domestic factors, apart...

Persistent link: https://www.econbiz.de/10015269315

Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH

Sinha, Pankaj; Agnihotri, Shalini - 2014

Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the financial market. In this study, the joint dynamics is...

Persistent link: https://www.econbiz.de/10015243993

On the information content of idiosyncratic equity return variation

Rahman, Md. Arifur - University of Western Sydney; College of Business; … - 2007

Research in this thesis deals with some unexplored, or only partially explored, issues relating to the information content of volatility of the idiosyncratic component of asset returns at the firm and industry-level, both in the context of developed and emerging stock markets. Specific issues we...

Persistent link: https://www.econbiz.de/10009482095

Evidence of volatility clustering on the FTSE/JSE top 40 index

Louw, Jan Paul - 2008

ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE/JSE Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the accurate measurement and reliable forecasting of...

Persistent link: https://www.econbiz.de/10009442059

An experimental study of petty corrupt behaviour in small decision making problems

Fujikawa, Takemi - University of Western Sydney; University of Western Sydney; … - 2005

that an individual petty corrupt behaviour is a consequence of the theoretically-optimal behaviour for the risk …) occasionally for the risk-seeking official, who subjectively underweight rare event and its probability. …

Persistent link: https://www.econbiz.de/10009482177

Individuals' responses to changes in risk: a person-specific analysis.

Schwartz, Carmit M, Economics, Australian School of … - 2007

In this thesis we consider two comparative statics questions of changes in risk. The first question concerns situations … where an individual faces some risk and has no control over the uncertain environment. In these situations we ask what kind … of changes in risk will cause the individual's expected utility to increase. The second comparative statics question …

Persistent link: https://www.econbiz.de/10009484196

Returns from investing in Australian equity superannuation funds, 1991-1999

Drew, M. E.; Stanford, J. D. - 2003

stocks create value for investors? Second, can the multifactor model of Gruber capture the cross-section of average fund ….80-4.00 per cent per annum on a risk-unadjusted basis and 0.50-0.93 per cent per annum on a risk-adjusted basis. Evidence is …

Persistent link: https://www.econbiz.de/10009447952

Finite moments testing in a general class of nonlinear time series models

Francq, Christian; Zakoian, Jean-Michel - 2024

We investigate the problem of testing the finiteness of moments for a class of semi-parametric time series encompassing many commonly used specifications. The existence of positive-power moments of the strictly stationary solution is characterized by the Moment Determining Function (MDF) of the...

Persistent link: https://www.econbiz.de/10015213589

Hot money and economic performance: An empirical analysis

Duasa, Jarita; Kassim, Salina - 2008

The present study empirically examines the importance of foreign portfolio investment (FPI) or hot money from certain investor(s) or country(s) on Malaysian economic performance. In methodology, the study uses vector error correction (VECM) model of FPI inflows from major investors such as the...

Persistent link: https://www.econbiz.de/10015215019